Log-optimal currency portfolios and control Lyapunov exponents
- L Gerencser
- M Rasonyi
- Zs Vago
- Csaba Szepesvari, Department of Computing Science; PI of AICML
P. Algoet and T. Cover characterized log-optimal portfolios in a stationary market without friction. There is no analogous result for markets with friction, of which a currency market is a typical example. In this paper we restrict ourselves to simple static strategies. The problem is then reduced to the analysis of products of random matrices, the top-Lyapunov exponent giving the growth rate. New insights to products of random matrices will be given and an algorithm for optimizing top-Lyapunov exponents will be presented together with some key steps of its analysis. Simulation results will also be given. [..]
Citation
L. Gerencser, M. Rasonyi, Z. Vago, C. Szepesvari. "Log-optimal currency portfolios and control Lyapunov exponents". IEEE, pp 1764-1769, January 2005.Keywords: | machine learning |
Category: | In Conference |
BibTeX
@incollection{Gerencser+al:IEEE05, author = {L Gerencser and M Rasonyi and Zs Vago and Csaba Szepesvari}, title = {Log-optimal currency portfolios and control Lyapunov exponents}, Pages = {1764-1769}, booktitle = {}, year = 2005, }Last Updated: January 04, 2007
Submitted by William Thorne